Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110796
Authors: 
Lahiri, Kajal
Yang, Liu
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5290
Abstract: 
We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.
Subjects: 
probability forecasts
serial correlation
Brier score
Brier skill score
survey of professional forecasters
JEL: 
C01
C12
C25
C52
C53
Document Type: 
Working Paper

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